The Equity Premium
By Eugene F. Fama, Kenneth R. French. 2002
516 citations recorded by the source corpus.
We estimate the equity premium using dividend and earnings growth rates to measure the expected rate of capital gain. Our estimates for 1951 to 2000, 2.55 percent and 4.32 percent, are much lower than the equity premium produced by the average stock return, 7.43 percent. Our evidence suggests that the high average return for 1951 to 2000 is due to a decline in discount rates that produces a large unexpected capital gain. Our main conclusion is that the average stock return of the last half-century is a lot higher than expected.
Subfields: Economics and Econometrics, Finance, Strategy and Management
View Paper: https://www.semanticscholar.org/paper/63d2428eb4f11a19816c1e4bbae37addc5117fca
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Christopher Polk
- S. B. Thompson
- Sudheer Chava
- M. Statman
- John M. McInnis
- Tuomo Vuolteenaho
- Amiyatosh Purnanandam
- S. Javadi
In Finance
- Christopher Polk
- S. B. Thompson
- Amiyatosh Purnanandam
- Tuomo Vuolteenaho
- Sudheer Chava
- M. Statman
- John M. McInnis
- John Y. Campbell
In Strategy and Management
- Christopher Polk
- M. Statman
- John M. McInnis
- Tuomo Vuolteenaho
- Sudheer Chava
- S. B. Thompson
- Amiyatosh Purnanandam
- John Y. Campbell
Citations in the corpus
- How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk? (2003, unknown): “Given that some researchers believe that the true equity premium may be smaller than 6% (see Fama and French (2002b)), and that the realized equity premium”
- Risk and Return in High-Frequency Trading (2018, unknown): “31) (Fama and French, 2002) and 18 times higher than the mean Passive HFT firm.”
- Learning about Consumption Dynamics (2014, unknown): “Fama and French (2002) reach a similar conclusion in terms of the ex post versus the ex ante risk premium when looking at the time series of the aggregate price-earnings and price-dividend ratios.”